+Article 280c 2.

Article 280c 2.

For the purposes of Article 278, institution shall calculate the credit risk category add-on for a given netting set as follows:

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where:

AddOnCredit

=

credit risk category add-on;

j

=

the index that denotes all the credit risk hedging sets established in accordance with point (c) of Article 277a(1) and with Article 277a(2) for the netting set; and

image

=

the credit risk category add-on for hedging set j calculated in accordance with paragraph 3.

1. Overview

,

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards